Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 2 2
Score -2.45 -4.07 -5.56
Market Cap (Millions USD) 1660.35 1606.15 1674.05
Predicted Beta 0.29 0.28 0.3
Idiosyncratic Volatility 1.63 1.32 2.22

Annualized return and volatility

IEV
Annualized Return 0.0364
Annualized Std Dev 0.2270
Annualized Sharpe (Rf=0%) 0.1604

Row

Daily Return Statistics

IEV
Observations 4966.0000
NAs 148.0000
Minimum -0.1095
Quartile 1 -0.0058
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0071
Maximum 0.1375
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0143
Skewness -0.0989
Kurtosis 8.9866

Downside Risk

IEV
Semi Deviation 0.0103
Gain Deviation 0.0102
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.6327
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0347
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0322
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2014-06-05 -0.6327 1689 348 1341
2000-09-05 2003-03-12 2004-12-27 -0.4820 1102 643 459
2014-07-07 2016-02-11 2017-07-20 -0.2602 780 413 367
2018-01-29 2018-12-24 NA -0.2298 490 233 NA
2006-05-10 2006-06-13 2006-09-27 -0.1360 99 24 75

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IEV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA -1.4 2.1 0.0 1.6 1.3 0 3.6
2001 0.0 0.3 0.0 0.1 -1.4 0.0 0.2 0.0 -1.0 2.2 0.0 0 0.3
2002 0.2 1.0 1.3 0.7 0.0 0.1 -5.4 0.0 2.5 0.6 0.0 0 0.7
2003 0.0 0.0 2.0 -0.8 0.0 -0.2 -0.3 0.0 3.0 0.0 2.4 0 6.3
2004 0.0 1.1 1.1 0.0 0.2 -1.3 0.0 -0.2 1.5 0.3 1.8 0 4.6
2005 1.0 0.6 -0.5 0.0 0.3 0.1 1.2 1.0 0.0 0.5 1.7 0 6.1
2006 0.5 0.9 0.0 -0.4 0.8 0.0 -0.5 0.5 0.0 -0.1 -0.4 0 1.2
2007 0.8 -1.3 0.0 0.0 0.9 0.0 -0.1 0.0 1.0 -2.4 0.0 0 -1.2
2008 1.4 0.0 3.2 0.7 0.0 -0.9 -1.3 0.0 -0.1 0.0 -8.8 0 -6.1
2009 0.0 0.0 2.3 1.2 2.8 1.5 0.0 -2.8 -3.0 0.0 2.2 0 4.2
2010 2.0 0.2 1.6 0.0 -1.2 1.7 0.0 3.9 1.1 -0.6 3.2 0 12.4
2011 2.5 -1.6 1.2 0.0 -2.8 0.9 -1.6 -1.0 0.0 -4.2 -0.6 0 -7.3
2012 2.1 1.4 0.0 0.8 -2.1 0.0 0.1 0.0 0.9 1.2 0.0 0 4.4
2013 1.0 -0.5 -0.5 -0.6 0.0 1.2 1.0 0.0 0.8 -0.6 0.0 0 1.8
2014 0.0 0.0 0.7 0.2 0.0 0.9 -0.8 0.0 -1.3 0.0 -0.1 0 -0.4
2015 0.0 0.0 0.9 0.8 -0.7 0.5 0.0 -2.9 0.0 0.0 0.7 0 -0.7
2016 -0.2 2.7 -0.9 0.0 -0.1 0.0 -1.1 0.6 0.0 -0.4 -0.1 0 0.4
2017 0.3 1.2 0.0 0.4 0.6 0.0 0.5 0.2 0.0 -0.1 -0.4 0 2.8
2018 0.2 -1.1 0.0 -0.5 0.8 0.0 -0.8 0.0 0.0 1.6 0.0 0 0.1
2019 0.1 0.6 1.2 -0.8 0.0 0.3 -0.4 0.0 -1.1 0.7 0.0 0 0.7

Row

Rolling Performance Chart

Snail Trail Chart